You need to go to the bottom toolbar of your computer where your programs are. go to My Computer and it should give you the option to install/uninstall programs and show a list of programs on your computer. find the yahoo messenger and choose uninstall. Then you will need to go back to the website of the messenger you want to download, and choose to download to your computer. I hope that helps:)

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Welcome to FixYa Support :
Follow this Link and Download a Simple Setup .Then Run it without Disconnecting Net Connection and wait for some Minutes[Depends on your Connection Speed]...It will be Downloaded and Ready to Install....Hope this Helped you...Thanks for Contacting FixYa...

Check your internet connection, may be your connection encountered problems...always download from your trustful sources website. i think better you should check your firewall settings. If you use Personal Firewall, make sure it allows your connection to receiving incoming connections and allows you download yahoo messenger,check it out, may be it blocked your yahoo messenger set up from downloading it.